Risco versus retorno das ações do setor imobiliário da BM&FBOVESPA no período de 2009 a 2012

Abstract

This study examined the performance of 16 real estate companies with shares on the BM&FBOVESPA in the period 2009-2012. The importance of this sector to the economy and the recent entry of these companies in the capital market requires that studies of this nature contribute to the better understanding of relative risk and return of these companies. For this, statistics and quantitative evaluation models based on performance CAPM, Sharpe Ratio, Treynor Ratio, Information Ratio, Jensen's Alpha and Modigliani & Modigliani Index were applied to the sample. The results show that the company Helbor was the best investment option, because it showed the best performance based on 04 of the 06 analyzed indexes, five other companies were above the industry results in performance indexes. It was also possible to select a diversified portfolio with five active samples where the performance of this portfolio was superior to the individual assets. Thus, it is predicted that the study period was favorable to real estate companies, as the average performance of the companies outperformed the stock index. In addition, we managed to create a diversified portfolio, due to the different segments that the industry congregates (construction, incorporation and management of enterprises).